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Semi-parametric single-index predictive regression models with cointegrated regressors
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073842
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
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A reexamination of stock return predictability
Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793